Frameworks
- frameworks that support
different languages
Reproducing Works
- repositories that
reproduce books and papers
results or implement
examples
Python
Numerical Libraries & Data
Structures
numpy
- NumPy is the fundamental
package for scientific
computing with Python.
scipy
- SciPy (pronounced “Sigh
Pie”) is a Python-based
ecosystem of open-source
software for mathematics,
science, and
engineering.
pandas
- pandas is an open source,
BSD-licensed library
providing high-performance,
easy-to-use data structures
and data analysis tools for
the Python programming
language.
quantdsl
- Domain specific language
for quantitative analytics
in finance and
trading.
statistics
- Builtin Python library for
all basic statistical
calculations.
sympy
- SymPy is a Python library
for symbolic
mathematics.
pymc3
- Probabilistic Programming
in Python: Bayesian Modeling
and Probabilistic Machine
Learning with Theano.
hasura/base-python-dash
- Hasura quickstart to
deploy Dash framework.
Written on top of Flask,
Plotly.js, and React.js,
Dash is ideal for building
data visualization apps with
highly custom user
interfaces in pure
Python.
FinancePy
- A Python Finance Library
that focuses on the pricing
and risk-management of
Financial Derivatives,
including fixed-income,
equity, FX and credit
derivatives.
gs-quant
- Python toolkit for
quantitative finance
willowtree
- Robust and flexible Python
implementation of the willow
tree lattice for derivatives
pricing.
financial-engineering
- Applications of Monte
Carlo methods to financial
engineering projects, in
Python.
optlib
- A library for financial
options pricing written in
Python.
tf-quant-finance
- High-performance
TensorFlow library for
quantitative finance.
Indicators
pandas_talib
- A Python Pandas
implementation of technical
analysis indicators.
finta
- Common financial technical
analysis indicators
implemented in Pandas.
tradingWithPython
- A collection of functions
and classes for Quantitative
trading.
Pandas TA
- Pandas TA is an easy to
use Python 3 Pandas
Extension with 115+
Indicators. Easily build
Custom Strategies.
ta
- Technical Analysis Library
using Pandas (Python)
algobroker
- This is an execution
engine for algo
trading.
pysentosa
- Python API for sentosa
trading system.
finmarketpy
- Python library for
backtesting trading
strategies and analyzing
financial markets.
binary-martingale
- Computer program to
automatically trade binary
options martingale
style.
fooltrader
- the project using big-data
technology to provide an
uniform way to analyze the
whole market.
zvt
- the project using
sql,pandas to provide an
uniform and extendable way
to record data,computing
factors,select securites,
backtesting,realtime trading
and it could show all of
them in clearly charts in
realtime.
pylivetrader
- zipline-compatible live
trading library.
pipeline-live
- zipline's pipeline
capability with IEX for live
trading.
moonshot
- Vectorized backtester and
trading engine for
QuantRocket based on
Pandas.
PyPortfolioOpt
- Financial portfolio
optimisation in python,
including classical
efficient frontier and
advanced methods.
Eiten
- Eiten is an open source
toolkit by Tradytics that
implements various
statistical and algorithmic
investing strategies such as
Eigen Portfolios, Minimum
Variance Portfolios, Maximum
Sharpe Ratio Portfolios, and
Genetic Algorithms based
Portfolios.
riskparity.py
- fast and scalable design
of risk parity portfolios
with TensorFlow 2.0
mlfinlab
- Implementations regarding
"Advances in Financial
Machine Learning" by
Marcos Lopez de Prado.
(Feature Engineering,
Financial Data Structures,
Meta-Labeling)
pyqstrat
- A fast, extensible,
transparent python library
for backtesting quantitative
strategies.
NowTrade
- Python library for
backtesting
technical/mechanical
strategies in the stock and
currency markets.
pinkfish
- A backtester and
spreadsheet library for
security analysis.
algorithmic-trading-with-python
- Free pandas
and scikit-learn
resources for trading
simulation, backtesting, and
machine learning on
financial data.
DeepDow
- Portfolio optimization
with deep learning
Qlib
- An AI-oriented
Quantitative Investment
Platform by Microsoft. Full
ML pipeline of data
processing, model training,
back-testing; and covers the
entire chain of quantitative
investment: alpha seeking,
risk modeling, portfolio
optimization, and order
execution.
FinRL-Library
- A Deep Reinforcement
Learning Library for
Automated Trading in
Quantitative Finance.
NeurIPS 2020.
bulbea
- Deep Learning based Python
Library for Stock Market
Prediction and
Modelling.
ib_nope
- Automated trading system
for NOPE strategy over IBKR
TWS.
OctoBot
- Open source cryptocurrency
trading bot for high
frequency, arbitrage, TA and
social trading with an
advanced web
interface.
bta-lib
- Technical Analysis library
in pandas for backtesting
algotrading and quantitative
analysis.
Stock-Prediction-Models
- Gathers machine learning
and deep learning models for
Stock forecasting including
trading bots and
simulations.
tda-api
- Gather data and trade
equities, options, and ETFs
via TDAmeritrade.
Risk Analysis
pyfolio
- Portfolio and risk
analytics in Python.
empyrical
- Common financial risk and
performance metrics.
fecon235
- Computational tools for
financial economics include:
Gaussian Mixture model of
leptokurtotic risk, adaptive
Boltzmann portfolios.
finance
- Financial Risk
Calculations. Optimized for
ease of use through class
construction and operator
overload.
qfrm
- Quantitative Financial
Risk Management: awesome OOP
tools for measuring,
managing and visualizing
risk of financial
instruments and
portfolios.
visualize-wealth
- Portfolio construction and
quantitative analysis.
VisualPortfolio
- This tool is used to
visualize the perfomance of
a portfolio.
universal-portfolios
- Collection of algorithms
for online portfolio
selection.
FinQuant
- A program for financial
portfolio management,
analysis and
optimisation.
Empyrial
- Portfolio's risk and
performance analytics and
returns predictions.
Factor Analysis
alphalens
- Performance analysis of
predictive alpha
factors.
Spectre
- GPU-accelerated Factors
analysis library and
Backtester
yfinance
- Yahoo! Finance market data
downloader (+faster Pandas
Datareader)
findatapy
- Python library to download
market data via Bloomberg,
Quandl, Yahoo etc.
googlefinance
- Python module to get
real-time stock data from
Google Finance API.
yahoo-finance
- Python module to get stock
data from Yahoo!
Finance.
pandas-datareader
- Python module to get data
from various sources (Google
Finance, Yahoo Finance,
FRED, OECD, Fama/French,
World Bank, Eurostat...)
into Pandas datastructures
such as DataFrame, Panel
with a caching
mechanism.
pandas-finance
- High level API for access
to and analysis of financial
data.
pyhoofinance
- Rapidly queries Yahoo
Finance for multiple tickers
and returns typed data for
analysis.
yql-finance
- yql-finance is simple and
fast. API returns stock
closing prices for current
period of time and current
stock ticker (i.e. APPL,
GOOGL).
ystockquote
- Retrieve stock quote data
from Yahoo Finance.
pytdx
- Python Interface for
retrieving chinese stock
realtime quote data from
TongDaXin Nodes.
pdblp
- A simple interface to
integrate pandas and the
Bloomberg Open API.
tiingo
- Python interface for daily
composite prices/OHLC/Volume
+ Real-time News Feeds,
powered by the Tiingo Data
Platform.
iexfinance
- Python Interface for
retrieving real-time and
historical prices and
equities data from The
Investor's
Exchange.
pyEX
- Python interface to IEX
with emphasis on pandas,
support for streaming data,
premium data, points data
(economic, rates,
commodities), and technical
indicators.
alpaca-trade-api
- Python interface for
retrieving real-time and
historical prices from
Alpaca API as well as trade
execution.
metatrader5
- API Connector to
MetaTrader 5 Terminal
xlrd
- Library for developers to
extract data from Microsoft
Excel spreadsheet
files.
xlsxwriter
- Write files in the Excel
2007+ XLSX file
format.
xlwt
- Library to create
spreadsheet files compatible
with MS Excel
97/2000/XP/2003 XLS files,
on any platform.
DataNitro
- DataNitro also offers
full-featured Python-Excel
integration, including UDFs.
Trial downloads are
available, but users must
purchase a license.
xlloop
- XLLoop is an open source
framework for implementing
Excel user-defined functions
(UDFs) on a centralised
server (a function
server).
expy
- The ExPy add-in allows
easy use of Python directly
from within an Microsoft
Excel spreadsheet, both to
execute arbitrary code and
to define new Excel
functions.
pyxll
- PyXLL is an Excel add-in
that enables you to extend
Excel using nothing but
Python code.
Visualization
D-Tale
- Visualizer for pandas
dataframes and xarray
datasets.
mplfinance
- matplotlib utilities for
the visualization, and
visual analysis, of
financial data.
finplot
- Performant and effortless
finance plotting for
Python.
xts
- eXtensible Time Series:
Provide for uniform handling
of R's different
time-based data classes by
extending zoo, maximizing
native format information
preservation and allowing
for user level customization
and extension, while
simplifying cross-class
interoperability.
data.table
- Extension of data.frame:
Fast aggregation of large
data (e.g. 100GB in RAM),
fast ordered joins, fast
add/modify/delete of columns
by group using no copies at
all, list columns and a fast
file reader (fread). Offers
a natural and flexible
syntax, for faster
development.
blotter
- Transaction infrastructure
for defining instruments,
transactions, portfolios and
accounts for trading systems
and simulation. Provides
portfolio support for
multi-asset class and
multi-currency portfolios.
Actively maintained and
developed.
Backtesting
quantstrat
- Transaction-oriented
infrastructure for
constructing trading systems
and simulation. Provides
support for multi-asset
class and multi-currency
portfolios for backtesting
and other financial
research.
FactorAnalytics
- The FactorAnalytics
package contains fitting and
analysis methods for the
three main types of factor
models used in conjunction
with portfolio construction,
optimization and risk
management, namely
fundamental factor models,
time series factor models
and statistical factor
models.
Expected Returns
- Solutions for enhancing
portfolio diversification
and replications of seminal
papers with R, most of which
are discussed in one of the
best investment references
of the recent decade,
Expected Returns: An
Investors Guide to
Harvesting Market Rewards by
Antti Ilmanen.
Time Series
tseries
- Time Series Analysis and
Computational Finance.
zoo
- S3 Infrastructure for
Regular and Irregular Time
Series (Z's Ordered
Observations).
tidyquant
- Bringing financial
analysis to the
tidyverse.
timetk
- A toolkit for working with
time series in R.
tibbletime
- Built on top of the
tidyverse, tibbletime is an
extension that allows for
the creation of time aware
tibbles through the setting
of a time index.
matrixprofile
- Time series data mining
library built on top of the
novel Matrix Profile data
structure and
algorithms.
garchmodels
- A parsnip backend for
GARCH models.
finance.js
- A JavaScript library for
common financial
calculations.
portfolio-allocation
- PortfolioAllocation is a
JavaScript library designed
to help constructing
financial portfolios made of
several assets: bonds,
commodities,
cryptocurrencies,
currencies, exchange traded
funds (ETFs), mutual funds,
stocks...
Ghostfolio
- Wealth management software
to keep track of financial
assets like stocks, ETFs or
cryptocurrencies and make
solid, data-driven
investment decisions.
Data Visualization
QUANTAXIS_Webkit
an awesome visualization
center based on
quantaxis.
Scala Quant
Scala library for working
with stock data from IFTTT
recipes or Google
Finance.
Ruby
Jiji
- Open Source Forex
algorithmic trading
framework using OANDA REST
API.
Elixir/Erlang
Tai
- Open Source composable,
real time, market data and
trade execution
toolkit.
Workbench
- From Idea to Execution -
Manage your trading
operation across a globally
distributed cluster
Prop
- An open and opinionated
trading platform using
productive & familiar
open source libraries and
tools for strategy research,
execution and
operation.
Golang
Kelp
- Kelp is an open-source
Golang algorithmic
cryptocurrency trading bot
that runs on centralized
exchanges and Stellar DEX
(command-line usage and
desktop GUI).
marketstore
- DataFrame Server for
Financial Timeseries
Data.
CPP
TradeFrame
- C++ 17 based
framework/library (with
sample applications) for
testing options based
automated trading ideas
using DTN IQ real time data
feed and Interactive Brokers
(TWS API) for trade
execution. Comes with
built-in
Option Greeks/IV
calculation library.
Frameworks
QuantLib
- The QuantLib project is
aimed at providing a
comprehensive software
framework for quantitative
finance.
TA-Lib
- perform technical analysis
of financial market
data.
CSharp
QuantConnect
- Lean Engine is an
open-source fully managed C#
algorithmic trading engine
built for desktop and cloud
usage.
StockSharp
- Algorithmic trading and
quantitative trading open
source platform to develop
trading robots (stock
markets, forex, crypto,
bitcoins, and
options).
TDAmeritrade.DotNetCore
- Free, open-source .NET
Client for the TD Ameritrade
Trading Platform. Helps
developers integrate TD
Ameritrade API into custom
trading solutions.
Rust
QuantMath
- Financial maths library
for risk-neutral pricing and
risk
Reproducing Works
Derman Papers
- Notebooks that replicate
original quantitative
finance papers from Emanuel
Derman.
volatility-trading
- A complete set of
volatility estimators based
on Euan Sinclair's
Volatility Trading.
quant
- Quantitative Finance and
Algorithmic Trading exhaust;
mostly ipython notebooks
based on Quantopian,
Zipline, or Pandas.
fecon235
- Open source project for
software tools in financial
economics. Many jupyter
notebook to verify
theoretical ideas and
practical methods
interactively.
Quantitative-Notebooks
- Educational notebooks on
quantitative finance,
algorithmic trading,
financial modelling and
investment strategy
QuantEcon
- Lecture series on
economics, finance,
econometrics and data
science; QuantEcon.py,
QuantEcon.jl,
notebooks
Python_Option_Pricing
- An libary to price
financial options written in
Python. Includes: Black
Scholes, Black 76, Implied
Volatility, American,
European, Asian, Spread
Options.
python-training
- J.P. Morgan's Python
training for business
analysts and traders.
Stock_Analysis_For_Quant
- Different Types of Stock
Analysis in Excel, Matlab,
Power BI, Python, R, and
Tableau.